SEMI-STATIC COMPLETENESS AND ROBUST PRICING BY INFORMED INVESTORS

• 成果类型: Article
• 署名作者: Acciaio, Beatrice; Larsson, Martin
• 署名单位: University of London; London School Economics & Political Science; Swiss Federal Institutes of Technology Domain; ETH Zurich
• 刊物名称: ANNALS OF APPLIED PROBABILITY
• ISSN/ISSBN: 1050-5164
• DOI: 10.1214/16-AAP1259
• 发表日期: 2017
• 页码: 2270-2304
• 关键词: Discrete-time; arbitrage

摘要

We consider a continuous-time financial market that consists of securities available for dynamic trading, and securities only available for static trading. We work in a robust framework where a set of non-dominated models is given. The concept of semi-static completeness is introduced: it corresponds to having exact replication by means of semi-static strategies. We show that semi-static completeness is equivalent to an extremality property, and give a characterization of the induced filtration structure. Furthermore, we consider investors with additional information and, for specific types of extra information, we characterize the models that are semi-statically complete for the informed investors. Finally, we provide some examples where robust pricing for informed and uninformed agents can be done over semi-statically complete models.